Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 4 | 3 | 3 |
| Score | -2.59 | -3.83 | -5.45 |
| Market Cap (Millions USD) | 2109.11 | 2037.79 | 2165.97 |
| Predicted Beta | 0.27 | 0.26 | 0.28 |
| Idiosyncratic Volatility | 1.7 | 1.46 | 2.28 |
Annualized return and volatility
| FEZ | |
|---|---|
| Annualized Return | 0.0612 |
| Annualized Std Dev | 0.2579 |
| Annualized Sharpe (Rf=0%) | 0.2371 |
Row
Daily Return Statistics
| FEZ | |
|---|---|
| Observations | 4399.0000 |
| NAs | 715.0000 |
| Minimum | -0.1221 |
| Quartile 1 | -0.0064 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0079 |
| Maximum | 0.1753 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0008 |
| Variance | 0.0003 |
| Stdev | 0.0162 |
| Skewness | 0.1026 |
| Kurtosis | 10.0127 |
Downside Risk
| FEZ | |
|---|---|
| Semi Deviation | 0.0116 |
| Gain Deviation | 0.0119 |
| Loss Deviation | 0.0126 |
| Downside Deviation (MAR=210%) | 0.0161 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.6421 |
| Historical VaR (95%) | -0.0246 |
| Historical ES (95%) | -0.0394 |
| Modified VaR (95%) | -0.0226 |
| Modified ES (95%) | -0.0250 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-09 | NA | -0.6421 | 3084 | 320 | NA |
| 2003-01-08 | 2003-03-12 | 2003-05-05 | -0.2313 | 83 | 46 | 37 |
| 2004-02-18 | 2004-05-10 | 2004-11-03 | -0.1411 | 183 | 59 | 124 |
| 2006-05-11 | 2006-06-13 | 2006-08-18 | -0.1364 | 71 | 23 | 48 |
| 2007-07-13 | 2007-08-15 | 2007-10-01 | -0.1195 | 57 | 24 | 33 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | FEZ | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2002 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.4 | 0.0 | 0.0 | 1.4 |
| 2003 | 0.0 | 0.0 | 2.1 | 0.1 | 0.0 | -0.3 | -0.1 | 0.0 | 3.0 | 0.0 | 1.6 | 0.0 | 6.5 |
| 2004 | 0.0 | 0.6 | 1.9 | 0.0 | -0.9 | -1.4 | 0.0 | -0.2 | 2.3 | 0.2 | 2.3 | 0.0 | 4.8 |
| 2005 | 0.2 | 1.4 | -0.4 | 0.0 | 0.0 | -0.8 | 0.7 | 0.9 | 0.0 | 0.1 | 1.7 | 0.0 | 3.9 |
| 2006 | 0.1 | 1.0 | 0.0 | 0.1 | 1.1 | 0.0 | -0.6 | 0.3 | 0.0 | -0.5 | -0.9 | 0.0 | 0.5 |
| 2007 | 0.6 | -1.5 | 0.0 | -0.1 | 0.7 | 0.0 | 0.5 | 0.0 | 0.9 | -2.8 | 0.0 | 0.0 | -1.5 |
| 2008 | 1.6 | 0.0 | 3.5 | 0.9 | 0.0 | -0.6 | -1.3 | 0.0 | 0.0 | 0.0 | -9.0 | 0.0 | -5.3 |
| 2009 | 0.0 | 0.0 | 2.0 | 0.8 | 2.7 | 1.7 | 0.0 | -3.5 | -3.0 | 0.0 | 2.7 | 0.0 | 3.1 |
| 2010 | 2.6 | 1.7 | 2.4 | 0.0 | -1.8 | 2.0 | 0.0 | 4.5 | 0.9 | -1.1 | 4.2 | 0.0 | 16.4 |
| 2011 | 2.6 | -1.9 | 1.5 | 0.0 | -3.2 | 1.4 | -2.8 | -1.9 | 0.0 | -5.9 | -0.9 | 0.0 | -10.9 |
| 2012 | 2.2 | 1.6 | 0.0 | 0.5 | -2.3 | 0.0 | 0.0 | 0.0 | 1.1 | 1.2 | 0.0 | 0.0 | 4.3 |
| 2013 | 1.3 | -0.6 | -0.6 | -0.7 | 0.0 | 1.0 | 1.4 | 0.0 | 1.2 | -0.7 | 0.0 | 0.0 | 2.2 |
| 2014 | 0.0 | 0.0 | 1.0 | 0.2 | 0.0 | 0.8 | -1.0 | 0.0 | -1.1 | 0.0 | -0.2 | 0.0 | -0.2 |
| 2015 | 0.0 | 0.0 | 0.9 | 0.9 | -0.1 | 0.6 | 0.0 | -2.6 | -0.3 | 0.0 | 0.3 | 0.0 | -0.3 |
| 2016 | -0.4 | 3.1 | -1.1 | 0.0 | -0.1 | -0.1 | -1.3 | 0.5 | 0.0 | -0.6 | -0.2 | 0.0 | -0.2 |
| 2017 | 0.3 | 1.7 | 0.0 | 0.6 | 0.5 | 0.0 | 0.6 | 0.3 | 0.0 | 0.3 | -0.8 | 0.0 | 3.5 |
| 2018 | 0.0 | -0.9 | 0.0 | -0.6 | 1.0 | 0.0 | -0.7 | 0.0 | 0.1 | 1.4 | 0.0 | 0.0 | 0.2 |
| 2019 | 0.2 | 0.7 | 1.2 | -0.8 | 0.0 | 0.1 | -0.4 | 0.0 | -1.1 | 0.6 | 0.0 | -0.2 | 0.4 |
Row
Rolling Performance Chart
Snail Trail Chart
